STS SECURITISATION NOTIFICATIONS
SIMPLE, TRANSPARENT, AND STANDARDISED (STS) SECURITISATION NOTIFICATIONS
This Register provides a list of all securitisations (traditional and synthetic) that comply with the ‘Simple, Transparent, and Standardised’ (STS) criteria set out in Regulation (EU) 2017/2402, as amended by Regulation (EU) 2021/557 (SECR).
According to Article 27(1) of the SECR , originators and sponsors must jointly notify ESMA by means of the template referred to in Article 27(7) where a securitisation meets the requirements of Articles 19 to 22, Articles 23 to 26 or Articles 26a to 26e (‘STS notification’).
In the case of an ABCP programme, only the sponsor is responsible for the notification of that programme and, within that programme, of the ABCP transactions complying with Article 24.
In the case of on-balance sheet synthetic securitisations (hereafter “synthetic securitisations”), only the originator shall be responsible for the notification.
According to Article 27(5) of the SECR , ESMA has to maintain on its website a list of all securitisations which the originators and sponsors have notified to it as meeting the requirements of Articles 19 to 22, Articles 23 to 26 or Articles 26a to 26e of that Regulation. ESMA adds each securitisation notified to that list immediately and updates the list where the securitisations are no longer considered to be STS following a decision of a competent authority or a notification by the originator or sponsor. Where the competent authority has imposed administrative sanctions in accordance with Article 32 of the SECR, it must notify ESMA thereof immediately and ESMA immediately indicates on the list that a competent authority has imposed administrative sanctions in relation to the securitisation concerned.
See also the ESMA securitisation policy activities webpage for further background on ESMA’s STS Notification arrangements and other securitisation-related policy activities. For questions about the information published on this website, please contact: securitisation@esma.europa.eu .
STS TRADITIONAL SECURITISATION
According to Article 2(9) of the SECR, ‘traditional securitisation’ means a securitisation involving the transfer of the economic interest in the exposures being securitised through the transfer of ownership of those exposures from the originator to an SSPE or through sub-participation by an SSPE, where the securities issued do not represent payment obligations of the originator.
For a traditional securitisation to be considered STS, it must fulfil the STS requirements set out in Articles 19 to 22 or Articles 23 to 26 of the SECR. In addition, ESMA needs to be notified of how a securitisation transaction fulfils these STS requirements by using the different STS notification templates (non-ABCP transactions, ABCP transactions or ABCP programmes) set out in Commission Implementing Regulation (EU) 2020/1227 applicable as from 23 September 2020.
Following their publication, an updated STS notification templates for traditional securitisation reflecting the changes introduced into the technical standards can be found here.
Further information can be found in the enclosed guide for the STS notification of traditional securitisations .
STS SYNTHETIC SECURITISATION
According to Article 2(10) of the SECR, ‘synthetic securitisation’ means a securitisation where the transfer of risk is achieved by the use of credit derivatives or guarantees, and the exposures being securitised remain exposures of the originator. According to Article 26a(1) of the SECR, synthetic securitisations that meet the requirements set out in Articles 26b to 26e must be considered to be STS synthetic securitisations.
For STS synthetic securitisations, Article 43a(2) of the SECR provides that, until the date of application of the regulatory technical standards specifying the information to be included in the STS notifications referred to in Article 27(1), originators shall make the necessary information available to ESMA in writing. With the aim of ensuring consistency across that STS information notified to ESMA and competent authorities, ESMA makes available the interim STS synthetic securitisation notification templates. As further explained below, those templates are provided for use on a voluntary basis only.
The interim notification templates for STS synthetic securitisations are based on those already being applied for traditional STS securitisations.
Further information can be found in the enclosed guide for the STS notification of synthetic securitisations.
STS SECURITISATIONS LISTS
The list of all securitisations notified to ESMA by originators and sponsors as meeting the STS requirements as well as the cancelled STS securitisations and no longer STS compliant securitisation can be found below:
Traditional securitisations meeting the STS requirements
STS traditional securitisations cancelled
Traditional securitisations which are no longer considered as meeting the STS requirements
(None reported so far)
Synthetic securitisations meeting the STS requirements
STS synthetic notifications cancelled
(None reported so far)
Synthetic securitisations which are no longer considered as meeting the STS requirements
(None reported so far)
IMPACT OF BREXIT IN THE STS STATUS
In order for a securitisation to be considered as STS, the originator, sponsor and SSPE must be established in the Union (Article 18 of the Securitisation Regulation). As of 1 January 2021, this requirement is no longer met in respect of those STS securitisations where the originator and/or sponsor and/or SSPE are established in the UK and these securitisations are not considered as STS. The loss of the STS status implies that the preferential capital treatment available for investments in this type of securitisations also comes to an end (ESAs joint statement on the impact in the change of status of STS securitisations on 7 December 2020).
Accordingly, ESMA has updated the list of “Traditional securitisations meeting the STS requirements”. For information purposes, to assist financial market participants to identify securitisations which are no longer eligible to the STS status in the EU, ESMA has also created a separate list with those securitisations no longer eligible to the European STS status due to Brexit.
“Securitisations no longer eligible for STS status in the EU due to Brexit”
Disclaimers
The present Register has been set up by ESMA on an interim basis in order to meet the requirements of the SECR starting from 1 January 2019. In due course, ESMA will launch a more established Register and place it on the dedicated section of its website.
The list of securitisations is derived solely from the STS notifications notified to ESMA by the originators and sponsors as well as the notification of an administrative sanction to ESMA by a competent authority. Originators, sponsors and the securitisation special purpose entities (SSPE) remain responsible for the STS information, and the competent authority remains responsible for any administrative sanctions and remedial measures, and queries regarding that information should be addressed directly to each them according to their responsibilities.
The interim STS synthetic securitisation notification templates may be used on a voluntary basis by originators and are without prejudice to the transitional provision set out under Article 43a(2) of SECR. This transitional provision applies until the date of application of the regulatory technical standards referred to in Article 27(6) of the same Regulation.
ESMA reserves the right to amend or update the interim STS synthetic securitisation notification templates at any time. Any such update or amendments will be communicated on ESMA’s website.
Notwithstanding the voluntary use of the ESMA interim STS synthetic securitisation notification templates, originators remain solely responsible for ensuring that the necessary information is provided to ESMA in compliance with Article 43a(2) of the SECR.
The information published in the Register derives exclusively from the information notified to ESMA. Therefore, ESMA does not accept any responsibility or liability for the accuracy of the information. ESMA shall not be liable for any loss of business or profits or any direct, indirect or consequential loss or damage resulting from any irregularity or inaccuracy of the information published by ESMA in the Register. ESMA aims to minimise disruption caused by technical errors. However, please note that ESMA cannot guarantee that its service will not be interrupted or otherwise affected by technical errors.
For further information, please see the Legal Notice